******************************************************************************** Trades report report produced on 29/03/2023 21:35 from 28/03/2023 21:35 to 29/03/2023 21:35 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1962 BOBL caleb_strategy_v1 [20230600] 2023-03-29 07:00:03 [-1] 118.05 1963 SUGAR11 _ROLL_PSEUDO_STRATEGY [20230500, 20230700] 2023-03-29 13:00:02 [-1, 1] 0.44 1964 SUGAR11 _ROLL_PSEUDO_STRATEGY [20230500, 20230700] 2023-03-29 13:00:03 [-1, 1] 0.44 1965 SUGAR11 _ROLL_PSEUDO_STRATEGY [20230500, 20230700] 2023-03-29 13:00:05 [-1, 1] 0.44 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1962 BOBL caleb_strategy_v1 2023-03-28 00:00:00 2023-03-29 08:00:02.222 2023-03-29 07:00:03 115202 NaN 1963 SUGAR11 _ROLL_PSEUDO_STRATEGY 2023-03-28 17:00:00 2023-03-29 14:00:02.001 2023-03-29 13:00:02 75602 NaN 1964 SUGAR11 _ROLL_PSEUDO_STRATEGY 2023-03-28 17:00:00 2023-03-29 14:00:03.884 2023-03-29 13:00:03 75603.9 NaN 1965 SUGAR11 _ROLL_PSEUDO_STRATEGY 2023-03-28 17:00:00 2023-03-29 14:00:05.165 2023-03-29 13:00:05 75605.2 NaN ========================================================================================================================================================================================================================================= Slippage (ticks per lot) ========================================================================================================================================================================================================================================= instrument_code strategy_name trade parent_reference_price parent_limit_price mid_price side_price offside_price limit_price filled_price delay bid_ask execution versus_limit versus_parent_limit total_trading order_id 1962 BOBL caleb_strategy_v1 [-1] 118.19 None 118.045 118.04 118.05 118.05 118.05 -0.145 -0.005 0.01 -0 NaN 0.005 1963 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1, 1] 0.49 None 0.445 0.44 0.45 0.45 0.44 -0.045 -0.005 -2.27596e-15 -0.01 NaN -0.005 1964 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1, 1] 0.49 None 0 0 0 0 0.44 -0.49 -0 0.44 0.44 NaN 0.44 1965 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1, 1] 0.49 None 0.445 0.44 0.45 0.45 0.44 -0.045 -0.005 -2.27596e-15 -0.01 NaN -0.005 ======================================================================================================================================================================= Slippage (normalised by annual vol, BP of annual SR) ======================================================================================================================================================================= instrument_code strategy_name trade last_annual_vol delay_vol bid_ask_vol execution_vol versus_limit_vol versus_parent_limit_vol total_trading_vol order_id 1962 BOBL caleb_strategy_v1 [-1] 10.1772 -142.476 -4.91296 9.82592 -0 NaN 4.91296 1963 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1, 1] 4.43312 -101.509 -11.2787 -5.13398e-12 -22.5575 NaN -11.2787 1964 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1, 1] 4.43312 -1105.32 -0 992.528 992.528 NaN 992.528 1965 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1, 1] 4.43312 -101.509 -11.2787 -5.13398e-12 -22.5575 NaN -11.2787 ================================================================================================================================================================================== Slippage (In base currency) ================================================================================================================================================================================== instrument_code strategy_name trade value_of_price_point delay_cash bid_ask_cash execution_cash versus_limit_cash versus_parent_limit_cash total_trading_cash order_id 1962 BOBL caleb_strategy_v1 [-1] 1082.73 -156.997 -5.41367 10.8273 -0 NaN 5.41367 1963 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1, 1] 1120 -50.4 -5.6 -2.54907e-12 -11.2 NaN -5.6 1964 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1, 1] 1120 -548.8 -0 492.8 492.8 NaN 492.8 1965 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1, 1] 1120 -50.4 -5.6 -2.54907e-12 -11.2 NaN -5.6 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SUGAR11 -649.600000 caleb_strategy_v1 BOBL -156.996575 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -649.600000 caleb_strategy_v1 -156.996575 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SUGAR11 -11.200000 caleb_strategy_v1 BOBL -5.413675 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -11.200000 caleb_strategy_v1 -5.413675 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SUGAR11 492.80000 caleb_strategy_v1 BOBL 10.82735 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 492.80000 caleb_strategy_v1 10.82735 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SUGAR11 470.4 caleb_strategy_v1 BOBL -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 470.4 caleb_strategy_v1 -0.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SUGAR11 0 caleb_strategy_v1 BOBL 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v1 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SUGAR11 481.600000 caleb_strategy_v1 BOBL 5.413675 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 481.600000 caleb_strategy_v1 5.413675 ******************************************************************************** END OF REPORT ********************************************************************************